%0 Report
%A Asai, Manabu
%A McAleer, Michael
%T Leverage and Feedback Eects on Multifactor WishartStochastic Volatility for Option Pricing
%J Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE)
%D 2013
%U https://hdl.handle.net/20.500.14352/41447
%X The paper proposes a general asymmetric multifactor Wishart stochastic volatility (AMWSV) diusion process which accommodates leverage, feedback eects and multifactor for the covariance process. The paper gives the closed-form solution for the conditional and unconditional Laplace transform of the AMWSV models. The paper also suggests estimating the AMWSV model by the generalized method of moments using information not only of stock prices but also of realized volatilities and covolatilities. The empirical results for the bivariate data of the NASDAQ 100 and S&P 500 indices show that the general AMWSV model is preferred among several nested models.
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